FX

A relationship is shifting in FX. Aussie-S&P co-movement went from -0.21 to -0.08, its biggest move since July 9.

4.7× its usual move

Aussie-S&P co-movement went from -0.21 to -0.08, its biggest move since July 9.

Where does the dollar sit, and is it stretched on valuation?

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3.0× its usual move

Dollar-rand realized vol moved from +8.8% to +6.8%, 3.0 times its normal pace. Dollar-real realized vol sits at +34.0%.

What does EM real carry look like right now?

FREDunavailable

1.7× its usual move

USD/CAD deepened to -1.8% on the month (from -1.0%). EUR/USD moved from -1.8% to -0.5%.

How are the major currency pairs moving against the dollar?

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1.6× its usual move

Dollar-yen realized vol moved from +4.8% to +5.3%. Aussie-dollar realized vol moved from +6.0% to +6.4%.

How much are currencies actually moving?

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Quiet (0.1×)

NZD/USD swung from +0.6% to -0.1% on the month.

What is the carry trade delivering right now?

Yahoo Financeunavailable

Descriptive research, not investment advice